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Forecasting inflation in the european monetary union: a disaggregated approach by countries and by sectors

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  • Espasa, Antoni
  • Albacete, Rebeca
  • Senra, Eva

Abstract

Inflation in the European Monetary Union is measured by the Harmonised Indices of Consumer Prices (HICP) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the European countries and another considers the HICP by countries. Both disaggregations are of interest because in each one, the component prices are not fully cointegrated, having more than one common factor in their trends. The paper shows that the breakdown by group of markets improves the European inflation forecasts and constitutes a framework in which general and specific indicators can be introduced for further improvements

Suggested Citation

  • Espasa, Antoni & Albacete, Rebeca & Senra, Eva, 2001. "Forecasting inflation in the european monetary union: a disaggregated approach by countries and by sectors," DES - Working Papers. Statistics and Econometrics. WS ws013723, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:ws013723
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    1. Tobias, Justin & Zellner, Arnold, 2000. "A Note on Aggregation, Disaggregation and Forecasting Performance," Staff General Research Papers Archive 12024, Iowa State University, Department of Economics.
    2. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
    3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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